For Windows NT/2000 or higher: Try to open a "CMD" window as such
Press Start button-
click Run
type CMD in the dialog box
type C:\folder (the drive and folder you saved the program in)
type lsm3sfx
type _install


Subsequent running of LSM requires opening the Run button and typing
\lsm\lsm

you can write a simple batch program (in notepad) with the following lines:
@cmd
C: (or whatever drive LSM is installed, i.e., D:)
cd\
cd\lsm
lsm

** when you want to return to Windows type EXIT at the prompt **

I have no idea why, but if the program still gives you a problem under CMD, then try running LSM again in the same window!!!
This works on my Windows 2000 machine with a Matrox card.